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CoMargin
Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...
Persistent link: https://www.econbiz.de/10010849953
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Central Bank Communications Before, During and After the Crisis: From Open-Market Operations to Open-Mouth Policy
Vayid, Ianthi - Bank of Canada - 2013
on a growing body of related academic literature, this paper reviews the history and effectiveness of central bank …
Persistent link: https://www.econbiz.de/10010849959
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Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions
Chen, David Xiao; Damar, H. Evren; Soubra, Hani; … - Bank of Canada - 2012
of different types of risk with respect to a bank’s balance-sheet management. Particular attention is given to the …
Persistent link: https://www.econbiz.de/10010849976
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Predicting Financial Stress Events: A Signal Extraction Approach
Christensen, Ian; Li, Fuchun - Bank of Canada - 2014
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor...
Persistent link: https://www.econbiz.de/10010960397
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Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment
Labelle, Nicolas; Taylor, Varya - Bank of Canada - 2014
A default in the Automated Clearing Settlement System (ACSS) occurs when a Direct Clearer is unable to settle its final obligation. In August 2012, the Canadian Payments Association amended the ACSS by-law and rules to repeal the unwinding provisions from the ACSS default framework. Without...
Persistent link: https://www.econbiz.de/10010960404
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A Wake-Up-Call Theory of Contagion
Ahnert, Toni; Bertsch, Christoph - Bank of Canada - 2015
attacks, bank runs and debt crises, our theory of contagion is supported by existing evidence and generates a new testable …
Persistent link: https://www.econbiz.de/10011264834
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Database of Sovereign Defaults, 2015 (Revised May 2015)
Beers, David; Nadeau, Jean-Sébastien - Bank of Canada - 2014
types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group … (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website. Our database … and other marketable securities, bank loans, and official loans in default, valued in U.S. dollars, for the years 1975 to …
Persistent link: https://www.econbiz.de/10011265712
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Sterilized Intervention in Emerging-Market Economies: Trends, Costs, and Risks
Lavigne, Robert - Bank of Canada - 2008
The author examines recent trends in sterilized intervention among emerging-market economies, to determine the size and extent of this policy in relation to earlier periods of heavy reserve accumulation. He then analyzes whether the domestic costs and risks of substantial and prolonged...
Persistent link: https://www.econbiz.de/10005220950
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Credit, Asset Prices, and Financial Stress in Canada
Misina, Miroslav; Tkacz, Greg - Bank of Canada - 2008
Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of credit and asset prices can be used to predict these events. Borio and Lowe (2002) answer this question in the affirmative for...
Persistent link: https://www.econbiz.de/10005220957
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Simulations du ratio du service de la dette des consommateurs en utilisant des données micro
Djoudad, Ramdane - Bank of Canada - 2009
The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey. The impact of these shocks on individual households depends on the socio-economic characteristics...
Persistent link: https://www.econbiz.de/10005256656